Số 227 | Tháng 02/2025
Chi phí vốn của các ngân hàng thương mại Việt Nam: Tiếp cận theo phương pháp truyền thống và phương pháp Bayes
Phạm Hải Nam
Tóm tắt:
Nghiên cứu được thực hiện nhằm đánh giá các yếu tố ảnh hưởng đến chi phí vốn (CPV) của các ngân hàng thương mại (NHTM) Việt Nam trong giai đoạn 2011–2022. Để đạt được mục tiêu nghiên cứu, các phương pháp hồi quy Pooled OLS, mô hình hiệu ứng cố định (FEM), mô hình hiệu ứng ngẫu nhiên (REM) và bình phương tối thiểu tổng quát (FGLS) đã được sử dụng. Bên cạnh các phương pháp hồi quy truyền thống, tác giả thực hiện phương pháp hồi quy theo phương pháp Bayes. Trong nghiên cứu này, biến đại diện cho CPV của ngân hàng là chi phí lãi vay trên tổng nợ phải trả. Kết quả nghiên cứu cho thấy các biến có tác động cùng chiều đến CPV của các NHTM Việt Nam bao gồm vốn ngân hàng và dự phòng rủi ro tín dụng. Các biến có tác động ngược lại là đa dạng hóa thu nhập, tiền gửi khách hàng, quy mô ngân hàng, khả năng sinh lời, sở hữu nhà nước và tăng trưởng GDP.
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Funding Costs of Vietnamese Commercial Banks: Traditional and Bayesian Approaches
Abstract:
This study investigates the factors influencing the funding costs of Vietnamese commercial banks during the period 2011–2022. To achieve the research objectives, several econometric techniques were employed, including Pooled Ordinary Least Squares (OLS), Fixed Effects Model (FEM), Random Effects Model (REM), and Feasible Generalized Least Squares (FGLS). In addition to these traditional regression methods, the study also incorporates Bayesian regression analysis to enhance robustness. The proxy for funding costs is measured by the ratio of interest expenses to total liabilities. The findings reveal that bank capital and loan loss provisions exert a positive influence on funding costs. Conversely, income diversification, customer deposits, bank size, profitability, state ownership, and GDP growth are associated with lower funding costs. These results offer valuable insights for policymakers and bank managers in optimizing funding strategies.